| Abstract [eng] |
Profitability, accuracy, marketing strategy and a set of architecture principles of Ichimoku Claud forecasting method is the main theme of this work. The main goal is to explore the profitability of this method in order to increase it by changing the structure of the Ichimoku Cloud. First of all, there are solved tasks by examining the structure of a set of graphs and information provided by marketing strategies that are used in profitability analysis. Experiment is carried out and there are compared results between modified and standart cases. There are S&P500 index selected in the research and one of the possible forecasting method‘s strategies – tenkan sen and kijun sen indicators cross strategy. Five year data period is selected. There are plotted other boundaries of the research. Experimental procedure begins with the research of the reaction of the indicators by changing periods of time and calculation of profitability, later on there are results compared with other cases, which were mentioned in the literature. The results and analysis of graphs provides lots of information to do experimental research. Profitability of standart case of Ichimoku Cloud is 45,41% (40,41% with the commission) with an accuracy of 40% and 0,9% average return of the transaction. Author’s modified case yield 22,81% more profitability compared to standart case and reaches 68,22% (63,22% with the commission) with an accuracy of 42% and 1,36% average return of transaction. New structure, which was research, has proved to London (FTSE100) and Japan (Nikkei225) indices, but have not worked with other US index (Nasdaq). Ichimoku Cloud research confirmed the assumption that this method is a long-term trading technique. The results show that the method is profitable (over 5 years – 63,22%), but the accuracy of the trading signals is not stunning. In addition, it is very much dependent on the human factor. Basically, that is why these results of profitability remain theoretical. Number of pages – 64. Number of tables – 10. Number of pictures – 30. |
